Analysis of micro-macro structure of financial markets via agent-based model: Risk management and dynamics of asset pricing

Hiroshi Takahashi, Takao Terano

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

In this research the authors use an agent-based approach to analyze the effects risk management has on a market overall. First, they confirm the validity of the risk management methods reported in the field of financial engineering. Then they confirm that under particular conditions, such as when there are a large number of investors who take into consideration the tendencies of other investors or when excessive risk management is used, risk management can cause market prices to deviate from standard levels.

Original languageEnglish
Pages (from-to)38-48
Number of pages11
JournalElectronics and Communications in Japan, Part II: Electronics (English translation of Denshi Tsushin Gakkai Ronbunshi)
Volume87
Issue number7
DOIs
Publication statusPublished - 2004 Jul 1
Externally publishedYes

Keywords

  • Agent- based approach
  • Herd behavior
  • Portfolio insurance
  • Risk management
  • Valuated risk

ASJC Scopus subject areas

  • Physics and Astronomy(all)
  • Computer Networks and Communications
  • Electrical and Electronic Engineering

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